本研究以1990年1月至2020年2月有外匯價格交易之56個國家為樣本，計算其外匯價格價差作為流動性變數，搜集三大信評機構，分別為惠譽(Fitch)、穆迪(Moody)及標普(S&P)對國家主權債務評級調整之資料，透過資料處理定義為升評(Upgrade)與降評(Downgrade)，研究升評與降評公告前，外匯市場的流動性是否先行變動。搜集國家透明度指數，分為高治理國家與低治理國家，研究在低治理程度的國家，其外匯市場流動性變化是否較大。使用LexisNexis搜集在事件宣告日前是否存在相關新聞，藉以研究主權債務評級調整前外匯市場流動性的變化。本研究的實證結果發現，外匯市場中存在著私人訊息，其流動性在評級公告前先行變動，在低治理程度的國家更為明顯，以及事前的相關新聞會對流動性造成影響。

This paper uses the sample of fifty-six countries with foreign exchange price transactions from January 1990 to February 2020 to calculate their foreign exchange price spreads as liquidity variables, and collects three major credit rating agencies, namely Fitch, Moody and S&P, ratings on national sovereign debt are upgraded and downgraded respectively. To study whether the liquidity of the foreign exchange market changes before the announcement of rating upgrade and downgrade. The national transparency index is collected and divided into high-governance countries and low-governance countries. To study whether the foreign exchange market liquidity changes greatly in countries with low governance institution. LEXISNEXIS is used to collect whether there is relevant news before the announcement of the event, in order to study the changes in foreign exchange market liquidity before the adjustment of sovereign debt ratings. The empirical results of this study find that there is private information in the foreign exchange market, and its liquidity changes before rating announcements, which is more pronounced in countries with low levels of governance, and that prior related news can affect liquidity.

論文審定書i
摘要ii
Abstractiii
第一章 緒論- 1 -
第一節 研究背景與動機- 1 -
第二節 研究目的- 2 -
第三節 研究架構- 3 -
第二章 文獻回顧- 4 -
第一節 國家主權債務評級- 4 -
第二節 私人訊息- 5 -
第三節 資訊宣告的影響- 6 -
第四節 外匯市場的流動性- 7 -
第五節 假說建立- 8 -
第三章 研究方法- 10 -
第一節 資料來源- 10 -
第二節 變數定義- 10 -
第三節 事件研究法- 12 -
第四章 實證結果16
第一節 敘述統計16
第二節 主權債務評級公告前各國外匯市場流動性的反應17
第三節 外匯市場流動性在主權債務評級公告前變動30
第四節 在治理程度較低的國家，外匯市場流動性在評級公告前波動較大34
第五節 事前新聞的存在是否會影響外匯市場的流動性39
第五章 結論與建議44
第一節 結論44
第二節 建議44
參考文獻46
附錄一47

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